Archive for the ‘Eurodollar Options’ Category
Eases are still there, just further back
February 12, 2024******************* –New recent highs in near SOFR calendar spreads on Friday as back contracts continue to re-price both the timing and magnitude of easing. On Friday, red sofr contracts closed -5.125 at avg price of 9632. SFRH4/SFRH5 calendar settled -132, up 5 on the day (9477.5/9609.5). On Feb 1, the day after the […]
Let them eat chocolate
Feb 11, 2024 – Weekly Comment*********************************** The image below is from the St Louis Fed; Households Owners’ Equity in Real Estate as a Percentage of Household Real Estate, Level. It’s nearly 72%. And surpasses every level since 1960! After the GFC, Homeowner’s Equity fell to around 46%. The next image is the homeownership rate […]
In: Eurodollar Options
Treasury having no problem placing debt
February 9, 2024****************** –Quiet day in rates. Thirty year auction was solid, WI 4.38 at time of auction, but the actual result was 2 bps thru at 4.36%. Barkin added his voice to Fed speakers who, outside of Goolsbee, don’t seem to be in any hurry to cut rates. From the bullet points prefacing Barkin’s […]
Disinflation from China, NatGas, tightened lending standards. BUT…Feb 9 CPI revisions
February 8, 2024******************* –The backdrop continues to be weakness in regional banks, but KRE (regional bank ETF) came back from lows to close nearly unchanged. US yields rose slightly, but the ten year auction went surprisingly well; WI was 4.105 and actual was 4.093%. TYH4 settled 111-06, down just 3 on the day. SOFR contracts […]
Good demand for 3’s; large ten-yr auction today
February 7, 2024****************** –Yields pulled back from highs made post-NFP, with tens down 7 bps to 4.09%. However, futures are down slightly this morning in front of today’s FORTY-TWO billion 10y auction. TYH4 settled 111-09 and currently prints 111-03+. Auction coincides with news that the SEC is considering new regulatory “fixes” on the basis trade. […]
Yields press higher into auctions
February 6, 2024****************** –Yields continued to rise going into the start of auctions, with the three-year today. Tens jumped another 13 bps yesterday to 4.16% as ISM Service data and prices were stronger than expected. Today also features Fed comments by Mester, Kashkari and Collins. Goolsbee said yesterday that he doesn’t want to rule out […]
Pushing the ease back
February 5, 2024****************** —Friday’s blowout NFP at 317k caused an implosion in rate futures. Weakest SOFR contracts were Dec’4 and March’5, both settling -23.5 at 9595.5 and 9626.. SFRH6 settled -20 at 9666.5 and H7 -18.5 at 9659, so inversion was accentuated slightly from reds back. The five-year yield jumped nearly 20 bps to end […]
Payrolls and toilet paper
February 2, 2024******************* –All I can say is I’m glad I have the Peloton / Novo Nordisk (Ozempic) spread on. If it takes effort, bad. If it’s a simple pill, good. I guess the Shanghai Comp (new lows) vs META is another appropriate spread. META blew away expectations and is up 16% pre-open. China’s stimulus […]
Lean against politicization
February 1, 2024******************** –Powell said repeatedly the Fed is committed to its 2% inflation target, a direct repudiation of those who would accuse him of easing policy to help someone else defeat Trump. Stocks were already pressured by GOOGL results released Tuesday post-close, and by NYCB opening 45% lower, but the real downside acceleration came […]
QRA and FOMC
January 31, 2024******************–Today’s news includes Treasury Quarterly Refunding Announce at 8:30, FOMC at 2:00 followed by 2:30 Press Conference.In addition, ADP at 8:15, ECI at 8:30, Chicago PMI 9:45 (all EST). –Yesterday featured a pre-data buy of 51k TYH4 111.25/110.25ps for 21, settled there ref TYH4 111-20. JOLTs higher than expected 9026 vs 8750. (However, UPS […]
